The moons lack of volatiles does not make it an impossible target for colonisation- all the chemical elements are there in some form or another, and there is abundant energy with which to extract them. The convenience of mars's reserves of water ice has to be balanced against its remotness, and the fact that manned travel to and from mars would be an expensive, huge and totally novel achievement in itself.

And to be totally honest this is an academic discussion anyway, as for the foreseeable future the best that we can hope for is a small science (and possibly ultra wealthy adventure tourist) outpost on the moon. It won't be a self sustaining colony, nor would a base on mars be at this point, even if travel there was as easy as to antartica. I imagine that the martian ice and any that might be hiding on the moon will be a scientific resource rather than drinking water for decades to come at least.

And whats this talk of pockets of subsurface saltwater on mars? the last I'd heard there was no uncontroversial evidence of any current day water on mars other than ice or vapour.